Dynamic Strategies for Defined Benefit Pension Plans Risk Management

Ilaria Colivicchi (), Gabriella Piscopo () and Emanuele Vannucci ()
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Ilaria Colivicchi: University of Florence, Department of Mathematics for Decisions
Gabriella Piscopo: University of Genoa, Department of Economics
Emanuele Vannucci: University of Pisa, Department of Statistics and Applied Mathematics

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2014, pp 111-118 from Springer

Abstract: Abstract In the context of the decumulation phase of a defined benefit pension scheme, the aim of this paper is to describe the management of a pension provider which has to minimize a default probability and to maximize the expected surplus. Its management strategy is based on the possibility of change the risk level (i.e. the volatility of random returns) of the investment at an optimum time.

Keywords: Pension Plan; Default Probability; Pension Scheme; Random Return; Longevity Risk (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-319-02499-8_10

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DOI: 10.1007/978-3-319-02499-8_10

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